magistrsko delo
Nadja Jarc (Author), Franjo Mlinarič (Mentor)

Abstract

V preteklem desetletju se je med leti 1997 do 2007 nominalna vrednost vseh kreditov evropskih bank podvojila (iz 9.441 milijard CHF na 19.996 milijard CHF). V istem obdobju se je vrednost kreditov v tuji valuti skoraj potrojila (iz 558 milijard CHF na 1.627 milijard CHF). Švicarska nacionalna banka (SNB) ocenjuje, da je bila decembra 2007 vrednost kreditov nominiranih v CHF znotraj evroobmočja 238 milijard CHF, v drugih evropskih državah pa 122 milijard CHF. Krediti v CHF so za slovenske in druge kreditojemalce članic EU posebni iz dveh razlogov. Prvič, kreditojemalci se dodatno soočajo še z valutnim tveganjem. Druga posebnost kredita v CHF se kaže v statusu CHF kot globalne varne valute, ki v času gospodarskega razcveta postopoma depreciira, v času krize pa močno apreciira. Tako je namen našega magistrskega dela, da se predstavijo posledice izpostavljenosti valutnemu tveganju pri kreditu v CHF oz. nasploh pri kreditu v tuji valuti. Iz tega razloga med seboj primerjamo vrednosti anuitet kredita v domači valuti (v našem primeru EUR) in kredita v tuji valuti (CHF). Ker je višina obrestnih mer pri posameznih kreditih zaupen podatek, smo kot obrestne mere pri izračunih kredita v EUR uporabili 6-mesečni EURIBOR, pri kreditih v CHF pa 6-mesečni LIBOR za CHF. Da bi dodatno izpostavili vpliv valutnega tveganja na kredit v sklopu izračunov predstavljamo tudi izračune, kjer uporabimo tako eno izmed notranjih oblik zavarovanja (ščitenje s pomočjo prihodkov v CHF) kot eno izmed zunanjih oblik zavarovanja (valutni terminski posli) pred valutnim tveganjem. Ker je problematika kredita v CHF zaradi valutnega tveganja doletela večino članic EU, predstavljamo tudi regulativne ukrepe in načine, preko katerih so se določene članice, med njimi je tudi Slovenija, soočile z reševanjem težav kreditojemalcev in kreditodajalcev kreditov v CHF. Iz predstavljenih rezultatov in rešitev ugotavljamo, da je valutno tveganje osrednja past kredita v CHF (kredita v tuji valuti). Rešitev ni, da se takšni posli nasploh prepovedo, ampak da regulatorji in kreditodajalci težijo k iskanju načinov, preko katerih bodo kreditojemalci primorani uporabiti eno izmed oblik zavarovanja valutnega tveganja ob sklenitvi kredita v tuji valuti.

Keywords

valuta;tveganje;valutno tveganje;kreditno tveganje;obrestno tveganje;izvedeni finančni instrumenti;

Data

Language: Slovenian
Year of publishing:
Typology: 2.09 - Master's Thesis
Organization: UM EPF - Faculty of Economics and Business
Publisher: [N. Jarc]
UDC: 336.748(043.2)
COBISS: 12742684 Link will open in a new window
Views: 1679
Downloads: 273
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Other data

Secondary language: English
Secondary title: Foreign currency borrowing traps - the case of Swiss franc
Secondary abstract: The nominal value of all the loans in European banks has doubled in the past decade (from 1997 till 2007) from 9,441 billion CHF to 19,996 billion CHF. In the same period the value of loans in foreign currencies has tripled (from 558 billion CHF to 1,627 billion CHF). The Swiss National bank estimates that in December 2007 the value of the loans nominated in CHF in the euro area was 238 billion CHF and 122 billion CHF in other European countries. The loans in CHF are special for two reasons. Firstly, the borrower faces one additional risk, which is the currency risk. Secondly and probably the most important specific of the credit in CHF is that CHF is considered as a safe haven currency. Therefore the value of CHF appreciates in term of economic crises, and depreciates in terms of economic growth. This explanation of the motion of a safe haven currency is the main cause why in 2008, when the crisis broke out, the appreciation of CHF was so high. Based on the described facets the purpose of this paper is to present the consequences of taking a loan in CHF or in general of taking a loan in a foreign currency. Therefore we will compare the annuity of a credit in domestic currency (in our case EUR) with the annuity of the credit in CHF. The actual interest rates o credits in CHF are a confident information, to which we did not have access. Because of this we will use values of the 6-month EURIBOR for the loans in EUR, and the values of the 6-motnh LIBOR for the credits in CHF. Furthermore we would like to show the impact of managing the currency risk with eligible financial instruments (inflows in CHF and currency forwards). The purpose is to show that currency risk is the main trap when taking a loan in a foreign currency. Our investigation showed that the problems with loans in CHF occurred in most of the countries in the EU. It is interesting that each country has presented its own kind of measurements to this problem, which are also presented in this paper. But putting all of our thoughts and conclusions together we found out that currency risk cannot be neglected when taking a credit in a foreign currency and that a proper solution is not to prohibit such kind of a financial product but to higher the standards and conditioning a loan in foreign currency with currency risk securities.
Secondary keywords: Safe haven currency;currency risk;credit risk;interest rate risk;currency derivatives.;
URN: URN:SI:UM:
Type (COBISS): Master's thesis/paper
Thesis comment: Univ. v Mariboru, Ekonomsko-poslovna fak.
Pages: 97 str.
ID: 9600673